Doctor of Philosophy / Department of Personal Financial Planning / Sonya L. Britt / This dissertation explores the personal financial planning risk-assessment process. Specifically, the study has five main purposes: 1. Explore the associations among independent risk-assessment variables. 2. Explore the concept that prudent financial risk-assessment goes beyond estimating an individual’s risk tolerance. 3. Explore the impact that each risk variable has on an individual’s overall Comprehensive Risk Profile (CRP). 4. Construct a comprehensive method of risk-assessment to estimate an individual’s overall risk profile. 5. Develop a weighted risk profile score and assign it to a target asset allocation model. Risk-assessment is one of the most instrumental components of the financial planning process. Financial planners and advisors have a fiduciary, as well as a suitability, responsibility to assess the level of risk individuals should bear with respect to their financial plan (Morse, 1998). Because of this, the evaluation of one’s risk profile impacts the success of an individual’s financial plan. If the risk-assessment is accurate, financial goals will have a higher likelihood of being met. To date, little research in the personal financial planning field has attempted to model financial risk-taking behavior in a way that is useful for practitioners, academics, and policy makers. The literature has tended to focus on either models of risk-taking rooted in economic utility theory, or tests of hypotheses related to the association among demographic and socioeconomic factors and risk-taking (Grable & Lytton, 1998). Traditional economic models do not fully account for the role that personal, behavioral, and environmental factors play in influencing individuals’ behavior beyond maximizing their expected utility (Hanna & Chen, 1997). Researchers have yet to develop a risk-profiling system that uses these behavioral or personal factors, to describe an individual’s financial risk-taking framework. Ultimately, the results of this study will lead to a multidimensional, comprehensive, accurate method of risk-assessment for both academic researchers, as well as practitioners. The following will serve as the empirical model for the study.

M.Phil. (Economics) / There has been increasing focus on banking system stability worldwide, particularly due to the recent financial crisis experienced and the resultant adverse economic effects. In the case of a developing country like South Africa (SA), the stability of the banking system is even more important as it is crucial for the achievement of the country’s development goals. Credit extension is also a core component for facilitating economic and social development in the country. The downside risk attached to credit extension is that once it reaches a point of being excessive it can have a destabilising effect on the banking system and the economy. SA has experienced a rapid increase in credit extension since 2001, which prompted the implementation of the National Credit Act (NCA), with the intention of regulating the credit industry and improving the practices therein. More recently, further concerns have been raised by regulatory authorities around the possibility of an asset bubble in the SA economy as a result of the level of unsecured credit extended in the country. The objective of this study therefore is to investigate the impact of the NCA on risk, both credit and systemic, in the banking system. This is important, as investigating and understanding the impact of credit controls, like the NCA, on risk in the banking system is critical to supporting the SA development agenda. The findings of this study show that the NCA has been successful in reducing credit risk in the banking system, even though this was by default and not through the stated intention of the Act. This was achieved through the introduction of the affordability requirement into the credit assessment process. This study highlights however, that there are still areas of improvement which can be made to the NCA to increase its effectiveness in preventing excessive credit extension.

Le domaine abordé dans notre travail se situe autour de l'aide à la décision multi-critère. Nous avons tout d'abord étudié les risques bancaires au travers d'une revue de la littérature très large. Nous avons ensuite élaboré un modèle théorique regroupant quatre catégories différentes composées de dix-neuf cas de risques financiers. Au travers de ce modèle théorique, nous avons mené une validation expérimentale avec un cas réel : La caisse d'épargne du Midi-Pyrénées. Cette validation expérimentale nous a permis un approfondissement des analyses des pratiques pour la gestion des risques financières. Dans cette thèse, nous cherchons à apporter une contribution à la gestion des risques dans le domaine du secteur financier et plus particulièrement pour la sécurité de système d'information et plus précisément au niveau de la caisse d'épargne. Ces analyses s'appuient donc sur des faits observés, recueillis et mesurés, des expérimentations réelles, résultant de la politique de sécurité des systèmes d'information et voulant offrir une approche pragmatique de la présentation de l'analyse de risques financiers grâce à des méthodes d'aide multicritère à la décision. L'élaboration de ce modèle permet de représenter certains aspects spécifiques des risques financiers. Nos recherches ont donné lieu à la réalisation d'un résultat concret : un système d'aide à la décision pour les besoins du responsable du système d'information de la caisse d'épargne. Il s'agit d'un système efficace présentant les résultats sous forme de figures relatives pour les valeurs des critères attribués par le responsable de système de sécurité d'informations (RSSI). / We are working on multicriteria decision analysis. We started with the study of risk typology through a huge review of literature. We have developed a theoretical model grouping four different categories of nineteen financial risk cases. Through this theoretical model, we have applied them to the "Caisse d'Epargne Midi-Pyrénées". In this thesis, we seek to make a contribution to the security management of information systems at the level of the savings bank. These analyzes are based on facts observed, collected and measured with real experiments resulting in its information system security policy and want to offer a pragmatic approach to the presentation of financial risk analysis through methods supporting. multicriteria decision analysis. The development of this model makes it possible to represent certain specific aspects of the financial risks that have often occurred in their activities. Our research led to the achievement of a concrete result in relation to the needs of the information system manager of the savings bank. It is an effective decision support system by constructing relative figures for the values of the criteria assigned by the RSSI.

Dentre as diversas ferramentas disponíveis para gestão de risco no mercado financeiro, este trabalho analisa estratégias de hedging para commodities agrícolas, utilizando o mercado futuro. Isto posto, efetua-se uma revisão das diferentes estratégias apresentadas pela literatura e analisa-se sua aplicação para o mercado brasileiro. Ao construir uma estratégia de hedging no mercado futuro, busca-se determinar o número de contratos a ser adquirido ou vendido, de forma a reduzir o risco financeiro, resultante de oscilações adversas no preço dos ativos. Ou seja, considerando-se um portfólio composto por dois ativos, um no mercado à vista e outro no futuro, as diferentes medidas de desempenho caracterizadas pelas diversas estratégias - conduzem a diferentes portfólios ótimos. Dessa forma, pretende-se analisar qual a melhor estratégia, determinando, implicitamente, qual a composição de portfolio mais adequada a um agente específico no mercado de commodities. São analisados o mercado do café, da soja, do açúcar e do álcool. Ativos financeiros, como o câmbio e o Ibovespa, também são considerados, a fim de averiguar eventuais diferenças de comportamento das estratégias, resultantes de peculiaridades do mercado de commodities. As estratégias estudadas foram: de mínima variância; de mínima variância condicionada ao período de carregamento, de maximização do índice de Sharpe; de maximização da utilidade esperada; de minimização do coeficiente de Gini estendido; de regressão linear; de regressão linear condicionada ao conjunto de informações e regressão linear condicinada ao conjunto de informações e ao período de carregamento. Apesar de o trabalho considerar somente estratégias estáticas, que se caracterizam por, uma vez determinado a quantidade de contratos a se posicionar no mercado futuro, não mais se alterar até o vencimento dos mesmos, adotou-se uma abordagem dinâmica para análise, presumindo que o portfólio pudesse ser reestruturado ao longo do tempo, de acordo com o comportamento do mercado, permitindo empregar uma abordagem mais próxima da realidade. Os resultados indicaram que as estratégias possuem diferenças, derivadas de sua estrutura, mas não variaram significativamente em função do tipo de commodity analisada. Não foi possível também identificar uma estratégia que fosse superior às demais, ou mais adequada, para uma commodity específica, do ponto de vista de resultado financeiro. Os resultados sugerem entretanto, que a seleção de uma estratégia por parte do investidor, deverá considerar as tendências de mercado, abrindo espaço para a incorporação desta informação nos modelos empregados. / Among the various tools available for managing risk in the financial market, this research analyzes hedging strategies for agricultural commodities, using the future market. It given makes up a review of different strategies presented by the literature and looks to its application to the Brazilian market. By constructing a strategy of hedging in the future market, seeks to determine the number of contracts to be purchased or sold, in order to reduce the financial risk, resulting from adverse fluctuations in the price of assets. In other words, considering a portfolio consisting of two assets, one in the spot market and one in the future, the various measures of performance - characterized by different strategies - leading to different portfolios optimum. Thus, it is intended to examine the best strategy, determining, implicitly, what the composition of portfolio best suited to a specific agent on the market of commodities. The markets analyzed were the coffee market, soybean market, sugar and alcohol market. Financial assets, such as exchange and the Ibovespa Index, are also considered in order to ascertain any differences in behavior of strategies, from peculiarities of the commodities market. The strategies studied were: the minimum- variance, the minimum-variance on the time lifted, the maximum Sharpe index; the maximum expected utility, the minimum extended Gini coefficient; the regression method; the regression method conditional on the set of information, and regression method conditional on the set of information and the time lifted. Although this research considered only static strategies which have since determined the amount of contracts to position itself in the future market, no more changes until the expiration of them, took up a dynamic approach for analysis, assuming that the portfolio could be restructured over time, according to the behavior of the market and will allow an approach closer to reality. The results indicated that strategies have differences, derived from its structure, but did not vary significantly depending on the type of commodity examined. Unable also identify a strategy with superiority than other, or more appropriately, for a specific commodity, from the viewpoint of financial results. The results suggest, however that the selection of a strategy by the investor should consider the trends of the market, opening up space to incorporate this information into the model employed.

For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2016. / FAU Electronic Theses and Dissertations Collection

Few sectors of the economy are as influential to the environment and are as susceptible to the influence of environmental changes as agriculture. This dissertation contains three chapters that examine agriculture as the primary interface at which human and nature interact. Primarily, I explore how policy support for financial risk management tools can have substantial impact on agricultural production choices via moral hazard and selection problems. While mitigating agricultural production risk, these supports also impact the environment via induced change in production choices. This dissertation contributes to U.S. agriculture policy and pollution management literature and insurance literature on moral hazard and selection problems. By examining the case of Federal Crop Insurance Program in the United States, this dissertation explores input choice changes caused by changes in government support for crop insurance. I proposed theoretical mechanism through which increasing use of financial risk management strategy can influence input decisions with risk implications, and tested these theories empirically with county-level panel data. Empirical tests showed that there were substantial decreases in irrigation investment and fertilizer application due to crop insurance offering. Policy implications on water scarcity and non-point source pollution management and on federal support to crop insurance market are discussed.

Dentre as diversas ferramentas disponíveis para gestão de risco no mercado financeiro, este trabalho analisa estratégias de hedging para commodities agrícolas, utilizando o mercado futuro. Isto posto, efetua-se uma revisão das diferentes estratégias apresentadas pela literatura e analisa-se sua aplicação para o mercado brasileiro. Ao construir uma estratégia de hedging no mercado futuro, busca-se determinar o número de contratos a ser adquirido ou vendido, de forma a reduzir o risco financeiro, resultante de oscilações adversas no preço dos ativos. Ou seja, considerando-se um portfólio composto por dois ativos, um no mercado à vista e outro no futuro, as diferentes medidas de desempenho caracterizadas pelas diversas estratégias - conduzem a diferentes portfólios ótimos. Dessa forma, pretende-se analisar qual a melhor estratégia, determinando, implicitamente, qual a composição de portfolio mais adequada a um agente específico no mercado de commodities. São analisados o mercado do café, da soja, do açúcar e do álcool. Ativos financeiros, como o câmbio e o Ibovespa, também são considerados, a fim de averiguar eventuais diferenças de comportamento das estratégias, resultantes de peculiaridades do mercado de commodities. As estratégias estudadas foram: de mínima variância; de mínima variância condicionada ao período de carregamento, de maximização do índice de Sharpe; de maximização da utilidade esperada; de minimização do coeficiente de Gini estendido; de regressão linear; de regressão linear condicionada ao conjunto de informações e regressão linear condicinada ao conjunto de informações e ao período de carregamento. Apesar de o trabalho considerar somente estratégias estáticas, que se caracterizam por, uma vez determinado a quantidade de contratos a se posicionar no mercado futuro, não mais se alterar até o vencimento dos mesmos, adotou-se uma abordagem dinâmica para análise, presumindo que o portfólio pudesse ser reestruturado ao longo do tempo, de acordo com o comportamento do mercado, permitindo empregar uma abordagem mais próxima da realidade. Os resultados indicaram que as estratégias possuem diferenças, derivadas de sua estrutura, mas não variaram significativamente em função do tipo de commodity analisada. Não foi possível também identificar uma estratégia que fosse superior às demais, ou mais adequada, para uma commodity específica, do ponto de vista de resultado financeiro. Os resultados sugerem entretanto, que a seleção de uma estratégia por parte do investidor, deverá considerar as tendências de mercado, abrindo espaço para a incorporação desta informação nos modelos empregados. / Among the various tools available for managing risk in the financial market, this research analyzes hedging strategies for agricultural commodities, using the future market. It given makes up a review of different strategies presented by the literature and looks to its application to the Brazilian market. By constructing a strategy of hedging in the future market, seeks to determine the number of contracts to be purchased or sold, in order to reduce the financial risk, resulting from adverse fluctuations in the price of assets. In other words, considering a portfolio consisting of two assets, one in the spot market and one in the future, the various measures of performance - characterized by different strategies - leading to different portfolios optimum. Thus, it is intended to examine the best strategy, determining, implicitly, what the composition of portfolio best suited to a specific agent on the market of commodities. The markets analyzed were the coffee market, soybean market, sugar and alcohol market. Financial assets, such as exchange and the Ibovespa Index, are also considered in order to ascertain any differences in behavior of strategies, from peculiarities of the commodities market. The strategies studied were: the minimum- variance, the minimum-variance on the time lifted, the maximum Sharpe index; the maximum expected utility, the minimum extended Gini coefficient; the regression method; the regression method conditional on the set of information, and regression method conditional on the set of information and the time lifted. Although this research considered only static strategies which have since determined the amount of contracts to position itself in the future market, no more changes until the expiration of them, took up a dynamic approach for analysis, assuming that the portfolio could be restructured over time, according to the behavior of the market and will allow an approach closer to reality. The results indicated that strategies have differences, derived from its structure, but did not vary significantly depending on the type of commodity examined. Unable also identify a strategy with superiority than other, or more appropriately, for a specific commodity, from the viewpoint of financial results. The results suggest, however that the selection of a strategy by the investor should consider the trends of the market, opening up space to incorporate this information into the model employed.

University of Macau / Institute of Chinese Medical Sciences

University of Macau / Faculty of Science and Technology / Department of Mathematics

M. Tech. Business Administration / Entrepreneurship is very important in all countries because even in the developed world, small business enterprises create the majority of employment. Entrepreneurship is therefore critical to the development and well-being of society. Entrepreneurship presents massive opportunities for increasing employment creation and growth in gross domestic product (GDP). Entrepreneurship is thus a promoter of economic growth. As a nation, we're low on the rankings when measured by our entrepreneurial activity, and we need new ideas and entrepreneurial energy to create the growth and jobs needed to reverse the current levels of unemployment and poverty. The perception of risk is relevant to the decision to become an entrepreneur as risk taking is a part of entrepreneurial life. Starting a new business has long been considered a risky proposition. Just the potential for failure and loss discourages many would-be entrepreneurs from giving it a go. This study analyses the risk taking propensity of entrepreneurs. Through using two structured questionnaires, primary data were collected from a population sample of 30 female and 30 male businesses, randomly selected from among the small and medium scale entrepreneurs engaged in manufacturing, trading, retailing and services industries in Roodepoort. The listing was extracted from the Business Index.